Help with installing an update


I'm a new Mac user and am stuck with an MSN messenger problem. I loaded Office for Mac which came with MSN messenger, but when I first went to use it I was told that there was an newer version which I had to download to continue using. So I downloaded it and two icons appeared on the desktop, MSN Messenger 4 and Messenger401.dmg. If I double clkick on 401 I first get a message that there is already a MSN version running, so I trash that one and then double clicking on that opens a small box whic says that says there is 3.2 MB available, I click on that and messenger opens, but in the info it says it is still version 4 not 4.01.
How do I get the download to install into the programme so that it will open from the original programme.